Some finite sample properties of Zellner estimator in the context of m seemingly unrelated regression equations

In m seemingly unrelated regression equations model the variance–covariance of Zellner estimator, the differences of the variance–covariance between Zellner estimator and the best linear unbiased estimator and between Zellner estimator and the least-squares estimator are given, respectively, under t...

Full description

Saved in:
Bibliographic Details
Published in:Journal of statistical planning and inference 2000-08, Vol.88 (2), p.267-283
Main Authors: Dao-de, Gao, Rong-Bing, Huang
Format: Article
Language:English
Subjects:
Best linear unbiased estimator
Efficiency
Gauss–Markov estimator
Least square
Seemingly unrelated regression
Two-stage estimator
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:In m seemingly unrelated regression equations model the variance–covariance of Zellner estimator, the differences of the variance–covariance between Zellner estimator and the best linear unbiased estimator and between Zellner estimator and the least-squares estimator are given, respectively, under the assumptions that their disturbances are multivariate normal distribution and that among the m symmetric projection matrices on the space spanned by the column vectors of the matrices of m exogenous variables, any two matrices commute. The variance–covariance of Zellner estimator of any equation is discussed under the other conditions too.
ISSN:0378-3758
1873-1171
DOI:10.1016/S0378-3758(00)00083-5